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Stochastic mortality, macroeconomic risks, and life insurer solvency

Hanewald, Katja; Post, Thomas; Gründl, Helmut - 2009

Motivated by a recent demographic study establishing a link between macroeconomic fluctuations and the mortality index kt in the Lee-Carter model, we assess the impact of macroeconomic fluctuations on the solvency of a life insurance company. Liabilities in our stochastic simulation framework...

Persistent link: https://www.econbiz.de/10010265671

Die Separierung von Kompakttarifen in der Pensions- und Lebensversicherung

Dreher, Loïc - In: German Risk and Insurance Review (GRIR) 6 (2010) 1, pp. 1-33

Kompakttarife finden nicht nur in der Pensionsversicherung, sondern auch in der (Einzel-) Lebensversicherung Verwendung … Besonderheiten bei der Lebensversicherung und wichtige Aspekte der Bilanzierung vorgestellt. Den Abschluss bildet ein Algorithmus zur …

Persistent link: https://www.econbiz.de/10010311182

Stochastic modeling of financing longevity risk in pension insurance

Ronkainen, Vesa - 2012

1 Introduction 11 1.1 Motivation 11 1.2 Pension insurance and riskmanagement 12 1.3 Solvency II 15 1.4 Value-at-Risk (VaR) 18 1.5 Insurancemodeling 19 2 Equity index model 23 2.1 Data on equity returns 23 2.2 Model specification and preliminary estimation 29 2.3 Parameter uncertainty via Markov...

Persistent link: https://www.econbiz.de/10012148908

Unobserved Heterogeneity; Process and Parameter Effects in Life Insurance

Spreeuw, Jaap; Wolthuis, Henk - 1997

In this paper life insurance contracts based on an urn-of-urns model, with age-at-death asobservable variable, are analyzed. Premium payment functions based on the principles of“equivalence on an individual level” and “equivalence on a group level” are compared. Boththe aggregate loss...

Persistent link: https://www.econbiz.de/10010324630

Life insurance and demographic change: An empirical analysis of surrender decisions based on panel data

Gemmo, Irina; Götz, Martin - 2016

Households buy life insurance as part of their liquidity management. The option to surrender such a policy can serve as … household specific sociodemographic factors influence the surrender behavior of life insurance policyholders. Based on the Socio … construct a proxy to identify life insurance surrender in the data. We use this proxy to conduct fixed effect regressions and …

Persistent link: https://www.econbiz.de/10011589610

Asset-Liability Management bei Komposit- und Lebensversicherern : Besinnung auf die Grundlagen

Friese, Sebastian; Mittendorf, Thomas - 2003

In jüngster Vergangenheit hat die Versicherungswirtschaft einen grundlegenden Wandel durchlaufen. Deregulierung, Globalisierung sowie Substitutionskonkurrenz führten zu einem verschärften Wettbewerb um Marktanteile bei sinkenden Gewinnmargen. Aufgrund dieser neuen Wettbewerbsdynamik und den...

Persistent link: https://www.econbiz.de/10010262915

Uncertain bequest needs and long-term Insurance contracts

Fei, Wenan; Fluet, Claude; Schlesinger, Harris - 2008

We examine how long-term life insurance contracts can be designed to incorporate uncertain future bequest needs. An individual who buys a life insurance contract early in life is often uncertain about the future financial needs of his or her family, in the event of an untimely death. Ideally,...

Persistent link: https://www.econbiz.de/10010264521

Individual welfare gains from deferred life-annuities under stochastic Lee-Carter mortality

Post, Thomas - 2009

A deferred annuity typically includes an option-like right for the policyholder. At the end of the deferment period, he may either choose to receive annuity payouts, calculated based on a mortality table agreed to at contract inception, or receive the accumulated capital as a lump sum....

Persistent link: https://www.econbiz.de/10010263765

The Uncertain Mortality Intensity Framework: Pricing and Hedging Unit-Linked Life Insurance Contracts

Li, Jing; Szimayer, Alexander - 2010

We study the valuation and hedging of unit-linked life insurance contracts in a setting where mortality intensity is governed by a stochastic process. We focus on model risk arising from different specifications for the mortality intensity. To do so we assume that the mortality intensity is...

Persistent link: https://www.econbiz.de/10010270425

Optimal asset allocation for interconnected life insurers in the low interest rate environment under solvency regulation

Niedrig, Tobias - 2015

I assess how Basel III, Solvency II and the low interest rate environment will affect the financial connection between the bank and insurance sector by changing the funding patterns of banks as well as the investment strategies of life insurance companies. Especially for life insurance...

Persistent link: https://www.econbiz.de/10010507671